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Market Fluctuations Explained by Dividends and Investor Networks

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dc.contributor.author Oldham, Matthew
dc.date.accessioned 2019-02-15T18:57:49Z
dc.date.available 2019-02-15T18:57:49Z
dc.date.issued 2017-08
dc.identifier.issn 1793-6802
dc.identifier.uri http://hdl.handle.net/1920/11393
dc.description.abstract The inability of investors and academics to consistently predict, and understand the behavior of financial markets has forced the search for alternative analytical frameworks. Analyzing financial markets as complex systems is a framework that has demonstrated great promises, with the use of agent-based models (ABMs) and the inclusion of network science playing an important role in increasing the relevance of the framework. Using an artificial stock market created via an ABM, this paper provides a significant insight into the mechanisms that drive the returns in financial markets, including periods of elevated prices and excess volatility. The paper demonstrates that the network topology that investors form and the dividend policy of firms significantly affect the behavior of the market. However, if investors have a bias to following their neighbors then the topology becomes redundant. By successfully addressing these issues this paper helps refine and shape a variety of additional research tasks for the use of ABMs in uncovering the dynamics of financial markets. en_US
dc.language.iso en_US en_US
dc.publisher Advances in Complex Systems en_US
dc.rights Attribution 3.0 United States *
dc.rights.uri http://creativecommons.org/licenses/by/3.0/us/ *
dc.title Market Fluctuations Explained by Dividends and Investor Networks en_US
dc.type Article en_US
dc.identifier.doi 10.1142/S0219525917500072


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